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Kalman Filters for Quant Finance | Roman Paolucci
📘 Kalman Filters for Quant Finance 🧠📊 Anytime you build a model, you face two problems: 1) Did I specify the right model? 2) Did I parameterize it correctly? In this video, I explain why both of those questions matter more than most traders realize, how models break in practice, and how the Kalman filter helps us adapt when the world ...
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